fitGBM: Fit a geometric Brownian motion to a daily log-returns...
In shill1729/findistr: Common distributions used in finance
fitGBM R Documentation
Fit a geometric Brownian motion to a daily log-returns time-series
Description
MLE estimates for the parameters of a GBM, the mean
drift rate and the volatility coefficient.
Usage
fitGBM(log_returns, timeScale = 1/252)
Arguments
log_returns
uni-variate time-series of daily log-returns
timeScale
time-scale to convert by.
Value
data.frame containing drift and volat point-estimates.
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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| fitGBM | R Documentation |
Fit a geometric Brownian motion to a daily log-returns time-series
Description
MLE estimates for the parameters of a GBM, the mean drift rate and the volatility coefficient.
Usage
fitGBM(log_returns, timeScale = 1/252)
Arguments
log_returns |
uni-variate time-series of daily log-returns |
timeScale |
time-scale to convert by. |
Value
data.frame containing drift and volat point-estimates.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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